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Persistent link: https://www.econbiz.de/10011518800
We develop a non-negative polynomial minimum-norm likelihood ratio (PLR) of two distributions of which only moments are known. The PLR converges to the true, unknown, likelihood ratio. We show consistency, obtain the asymptotic distribution for the PLR coefficients estimated with sample moments,...
Persistent link: https://www.econbiz.de/10012612788